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Say there are $m+n$ elements split into two groups ($m$ and $n$). The variance of first group is $\sigma_m^2$ and variance of second group is $\sigma^2_n$. The elements themselves are assumed to be unknown but I know the means $\mu_m$, $\mu_n$ and $\mu_{(m+n)}$. The variance doesn't have to be unbiased so denominator is $(m+n)$ and not $(m+n-1)$.

Is there a way to calculate the combined variance $\sigma^2_{(m+n)}$?

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When you say you know the means and variances of these groups, are they parameters or sample values? If they are sample means/variances you should not use $\mu$ and $\sigma$... –  Jonathan Christensen Nov 8 '12 at 19:18
    
I just used the symbols as a representation. Otherwise, it would have been hard to explain my problem. –  user1809989 Nov 9 '12 at 0:11
    
For sample values, we usually use Latin letters (e.g. $m$ and $s$). Greek letters are usually reserved for parameters. Using the "correct" (expected) symbols will help you communicate more clearly. –  Jonathan Christensen Nov 9 '12 at 2:31
    
No worries, I'll follow that from now on! Cheers –  user1809989 Nov 9 '12 at 8:42
    
@Jonathan Because this is not a question about samples or estimation, one can legitimately take the view that $\mu$ and $\sigma^2$ are the true mean and variance of the empirical distribution of a batch of data, thereby justifying the conventional use of greek letters rather than latin letters to refer to them. –  whuber Nov 9 '12 at 18:36

2 Answers 2

up vote 7 down vote accepted

Use the definitions of mean

$$\mu_{1:n} = \frac{1}{n}\sum_{i=1}^n x_i$$

and sample variance

$$\sigma_{1:n}^2 = \frac{1}{n}\sum_{i=1}^n \left(x_i - \mu_{1:n}\right)^2 = \frac{n-1}{n}\left(\frac{1}{n-1}\sum_{i=1}^n \left(x_i - \mu_{1:n}\right)^2\right)$$

(the last term in parentheses is the unbiased variance estimator often computed by default in statistical software) to find the sum of squares of all the data $x_i$. Let's order the indexes $i$ so that $i=1,\ldots,n$ designates elements of the first group and $i=n+1,\ldots,n+m$ designates elements of the second group. Break that sum of squares by group and re-express the two pieces in terms of the variances and means of the subsets of the data:

$$\eqalign{ (m+n)(\sigma^2_{1:m+n} + \mu_{1:m+n}^2) &= \sum_{i=1}^{1:n+m} x_i^2 \\ &= \sum_{i=1}^n x_i^2 + \sum_{i=n+1}^{n+m} x_i^2 \\ &= n(\sigma^2_{1:n} + \mu_{1:n}^2) + m(\sigma^2_{1+n:m+n} + \mu_{1+n:m+n}^2). }$$

Algebraically solving this for $\sigma^2_{m+n}$ in terms of the other (known) quantities yields

$$\sigma^2_{1:m+n} = \frac{n(\sigma^2_{1:n} + \mu_{1:n}^2) + m(\sigma^2_{1+n:m+n} + \mu_{1+n:m+n}^2)}{m+n} - \mu^2_{1:m+n}.$$

Of course, using the same approach, $\mu_{1:m+n} = (n\mu_{1:n} + m\mu_{1+n:m+n})/(m+n)$ can be expressed in terms of the group means, too.


An anonymous contributor points out that when the sample means are equal (so that $\mu_{1:n}=\mu_{1+n:m+n}=\mu_{1:m+n}$), the solution for $\sigma^2_{m+n}$ is a weighted mean of the group sample variances.

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Hi, thanks for your reply. I didn't tag this question as homework. It kinda feels stupid when it is tagged as homework when I am actually doing a PhD and was stumped upon trying to find a solution to this question to use it in one of my experiments. However, that aside, thanks again for your help. It definitely cleared things up for me. –  user1809989 Nov 9 '12 at 0:10
2  
The "homework" tag doesn't mean the question is elementary or stupid: it's used for self-study questions that can even include research-level queries. It distinguishes routine, more or less context-free questions (of the sort that might ordinarily grace the math forum) from specific applied questions. –  whuber Nov 9 '12 at 18:33
    
I cannot understand your first passage: $n(\sigma^2+\mu^2) = \sum (x - \mu)^2 + n\mu^2 \stackrel{?}{=} \sum x^2$ In particular I get $\sum [(x-\mu)^2+\mu^2] = \sum [x^2-2x\mu]$ which requires $\mu = 0$ Am I missing something? Could you please explain this? –  DarioP 2 days ago
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@Dario $$\sum(x-\mu)^2+n\mu^2=(\sum x^2 - 2\mu\sum x + n \mu^2)+n\mu^2 = \sum x^2 - 2n\mu^2 + 2n\mu^2 = \sum x^2.$$ –  whuber 20 hours ago
    
Oh yes, I did a stupid sign mistake in my derivation, now is clear, thanks!! –  DarioP 19 hours ago

Yes, given the mean, sample count, and variance or standard deviation of each of two or more groups of samples, you can exactly calculate the variance or standard deviation of the combined group.

This web page describes how to do it, and why it works; it also includes source code in Perl: http://www.burtonsys.com/climate/composite_standard_deviations.html


BTW, contrary to the answer given above,

$$\eqalign{ n(\sigma^2 + \mu^2) \space\space \ne \space\space \sum_{i=1}^n x_i^2 }$$

See for yourself, e.g., in R:

> x = rnorm(10,5,2)
> x
 [1] 6.515139 8.273285 2.879483 3.624233 6.199610 3.683164 4.921028 8.084591
 [9] 2.974520 6.049962
> mean(x)
[1] 5.320502
> sd(x)
[1] 2.007519
> sum(x**2)
[1] 319.3486
> 10 * (mean(x)**2 + sd(x)**2)
[1] 323.3787
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it's because you forgot the n-1 factor, e.g. try with n*(mean(x)**2+sd(x)**2/(n)*(n-1)) –  user603 May 13 '13 at 20:11
    
user603, what on earth are you talking about? –  Dave Burton May 15 at 5:09
    
Dave, mathematics is a more reliable teacher than software. In this case R computes the unbiased estimate of the standard deviation rather than the standard deviation of the set of numbers. For instance, sd(c(-1,1)) returns 1.414214 rather than 1. Your example needs to use sqrt(9/10)*sd(x) in place of sd(x). Interpreting "$\sigma$" as the SD of the data and "$\mu$" as the mean of the data, your BTW remark is wrong. A program demonstrating this is n <- 10; x <- rnorm(n,5,2); m <- mean(x); s <- sd(x) * sqrt((n-1)/n); m2 <- sum(x^2); c(lhs=n * (m^2 + s^2), rhs=m2) –  whuber May 15 at 15:35

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